A Stratonovich-Skorohod integral formula for Gaussian rough paths
Given a Gaussian process $X$, its canonical geometric rough path lift $\mathbf{X}$, and a solution $Y$ to the rough differential equation $\mathrm{d}Y_{t} = V\left (Y_{t}\right ) \circ \mathrm{d} \mathbf{X}_t$, we present a closed-form correction formula for $\int Y_t \circ \mathrm{d} \mathbf{X}_t -...
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Imperial College London
2016
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.712890 |
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